The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction: Evidence from 3.8 Billion Option Contracts
This paper measures the information content of the implied volatility surface for returns and realized variance in a panel of 69 liquid US underlyings (49 large stocks, 17 ETFs and three equity indices) over 2010–2025, built from 3.83 billion end-of-day option records and 5-minute prices. Option-implied features…